CNSDX vs. NCZ

Last updated Jun 23, 2026

CNSDX (Invesco Convertible Securities Fund) and NCZ (Virtus Convertible and Income Fund II) are both Convertible Bonds funds. Over the past 10 years, CNSDX returned 11.81%/yr vs 9.31%/yr for NCZ. A 0.55 correlation means they provide meaningful diversification when combined. CNSDX charges 0.68%/yr vs 0.03%/yr for NCZ.

Performance

CNSDX vs. NCZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco Convertible Securities Fund (CNSDX) and Virtus Convertible and Income Fund II (NCZ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CNSDX achieves a 24.06% return, which is significantly higher than NCZ's 21.29% return. Over the past 10 years, CNSDX has outperformed NCZ with an annualized return of 11.81%, while NCZ has yielded a comparatively lower 9.31% annualized return.

CNSDX

• 1D: 1.36%
• 1M: 5.11%
• YTD: 24.06%
• 6M: 21.42%
• 1Y: 39.17%
• 3Y*: 18.32%
• 5Y*: 8.39%
• 10Y*: 11.81%

NCZ

• 1D: 0.06%
• 1M: 3.64%
• YTD: 21.29%
• 6M: 19.13%
• 1Y: 43.80%
• 3Y*: 23.39%
• 5Y*: 5.95%
• 10Y*: 9.31%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CNSDX vs. NCZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CNSDX Invesco Convertible Securities Fund	24.06%	16.24%	9.95%	8.18%	-15.51%	4.69%	44.68%	21.25%	-1.60%	10.68%
NCZ Virtus Convertible and Income Fund II	21.29%	23.23%	18.40%	17.75%	-35.93%	9.24%	11.04%	27.19%	-18.66%	24.89%

Correlation

The correlation between CNSDX and NCZ is 0.70, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.70
Correlation (10Y) Calculated over the trailing 10-year period	0.63
Correlation (All Time) Calculated using the full available price history since Jul 29, 2003	0.55

The correlation between CNSDX and NCZ shifts across timeframes, from 0.55 (all time) to 0.70 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

CNSDX vs. NCZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CNSDX

CNSDX Risk / Return Rank: 78
CNSDX Sharpe Ratio Rank: 78
CNSDX Sortino Ratio Rank: 65
CNSDX Omega Ratio Rank: 65
CNSDX Calmar Ratio Rank: 93
CNSDX Martin Ratio Rank: 91

NCZ

NCZ Risk / Return Rank: 83
NCZ Sharpe Ratio Rank: 88
NCZ Sortino Ratio Rank: 80
NCZ Omega Ratio Rank: 77
NCZ Calmar Ratio Rank: 83
NCZ Martin Ratio Rank: 89

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CNSDX vs. NCZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco Convertible Securities Fund (CNSDX) and Virtus Convertible and Income Fund II (NCZ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CNSDX	NCZ	Difference
Sharpe ratio: Return per unit of total volatility	2.38	2.65	-0.28
Sortino ratio: Return per unit of downside risk	3.06	3.46	-0.40
Omega ratio: Gain probability vs. loss probability	1.41	1.46	-0.05
Calmar ratio: Return relative to maximum drawdown	4.89	3.69	+1.20
Martin ratio: Return relative to average drawdown	16.99	16.25	+0.74

CNSDX vs. NCZ - Sharpe Ratio Comparison

The current CNSDX Sharpe Ratio is 2.38, which is comparable to the NCZ Sharpe Ratio of 2.65. The chart below compares the historical Sharpe Ratios of CNSDX and NCZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CNSDX vs. NCZ - Drawdown Comparison

The maximum CNSDX drawdown since its inception was -39.33%, smaller than the maximum NCZ drawdown of -79.48%. Use the drawdown chart below to compare losses from any high point for CNSDX and NCZ.

Drawdown Indicators

	CNSDX	NCZ	Difference
Max Drawdown Largest peak-to-trough decline	-39.33%	-79.48%	+40.15%
Max Drawdown (1Y) Largest decline over 1 year	-8.09%	-11.94%	+3.85%
Max Drawdown (3Y) Largest decline over 3 years	-13.32%	-19.54%	+6.22%
Max Drawdown (5Y) Largest decline over 5 years	-22.73%	-43.93%	+21.20%
Max Drawdown (10Y) Largest decline over 10 years	-24.19%	-56.08%	+31.89%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.90%	-14.32%	+7.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.32%	2.70%	-0.38%

Volatility

CNSDX vs. NCZ - Volatility Comparison

Invesco Convertible Securities Fund (CNSDX) has a higher volatility of 6.65% compared to Virtus Convertible and Income Fund II (NCZ) at 5.01%. This indicates that CNSDX's price experiences larger fluctuations and is considered to be riskier than NCZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CNSDX	NCZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.65%	5.01%	+1.64%
Volatility (6M) Calculated over the trailing 6-month period	13.68%	13.05%	+0.63%
Volatility (1Y) Calculated over the trailing 1-year period	16.62%	16.61%	+0.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.47%	21.37%	-8.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.94%	24.28%	-11.34%

CNSDX vs. NCZ - Expense Ratio Comparison

CNSDX has a 0.68% expense ratio, which is higher than NCZ's 0.03% expense ratio.

Dividends

CNSDX vs. NCZ - Dividend Comparison

CNSDX's dividend yield for the trailing twelve months is around 9.49%, more than NCZ's 9.05% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CNSDX Invesco Convertible Securities Fund	9.49%	11.77%	3.46%	1.46%	3.97%	28.36%	10.96%	5.21%	12.65%	4.57%	3.74%	2.74%
NCZ Virtus Convertible and Income Fund II	9.05%	10.45%	11.50%	12.84%	15.62%	8.82%	9.28%	11.28%	15.33%	13.80%	12.08%	18.02%

Frequently Asked Questions

Can I hold both CNSDX and NCZ in my portfolio?

CNSDX and NCZ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CNSDX or NCZ?

CNSDX has higher volatility (6.65%) compared to NCZ (5.01%). In terms of maximum drawdown, CNSDX dropped -39.33% vs NCZ's -79.48%.

Which has better risk-adjusted returns?

NCZ currently has the higher Sharpe Ratio (2.65 vs 2.38), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.